首页 | 本学科首页   官方微博 | 高级检索  
     检索      

沪深300ETF套期保值效果的比较研究
引用本文:丁于兰.沪深300ETF套期保值效果的比较研究[J].江西金融职工大学学报,2014(5):32-38.
作者姓名:丁于兰
作者单位:福建省电信公司,福建 福州,250000
摘    要:文章采用OLS、ECM、CCC-BGARCH以及DCC-BGARCH模型分别计算了两支300ETF的最优套期保值比率,并分别比较了两支300ETF的套期保值效果,结果发现:动态多元GARCH类模型的效果明显好于OLS和ECM模型;无论采用哪种模型,华泰柏瑞沪深300ETF的套期保值效果都要好于嘉实沪深300ETF;由于华泰柏瑞沪深300ETF的高流动性和相对完善的套利机制,使得其适合较大方差变化的DCC-BGARCH模型;而嘉实沪深300ETF采用CCC-BGARCH模型的套期保值效果更好,这可能是因为嘉实沪深300ETF和沪深300股指期货间的关联性波动较小,相关系数更接近于常数的缘故。

关 键 词:沪深300ETF  套期保值  差异性

The Comparative Study of CSI 300 ETF Hedging Effects
DING Yulan.The Comparative Study of CSI 300 ETF Hedging Effects[J].Journal of Jiangxi Finance College,2014(5):32-38.
Authors:DING Yulan
Institution:DING Yulan ( China Telecom, Fuzhou, Fujian 250000, China)
Abstract:This article uses models of OLS、ECM、CCC-BGARCH and DCC-BGARCH,calculates the opti-mal hedge ratio of the two CSI 300 ETF,and compares the hedging effects of the two CSI 300 ETF. The research in-dicates that the effect of dynamic multivariate GARCH model is significantly detter than the effect of OLS and ECM model. Whichever model,the hedging effect of Huatai-PineBridge CSI 300 ETF is detter than the effect of Harvest CSI 300 ETF. Due to its high liquidity and relatively well -developed arditrage mechanism,Huatai -PineBridge CSI 300 ETF is more suitadle for DCC-BGARCH model which has larger variance changes. Meanwhile,Harvest CSI 300 ETF is more suitadle for CCC-BGARCH model decause the relevance fluctuations detween the two ETF in futures is small and the correlation coefficient is closer to constant.
Keywords:CSI 300 ETF  hedging  difference
本文献已被 维普 万方数据 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号